• Title of article

    Fuzzy defaultable bonds

  • Author/Authors

    Agliardi، نويسنده , , Elettra and Agliardi، نويسنده , , Rossella، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2009
  • Pages
    11
  • From page
    2597
  • To page
    2607
  • Abstract
    This paper develops a structural model for defaultable bonds in a fuzzy environment. The numerical results calculated from the closed-form solution show that the fuzziness of the stochastic underlying asset and of bankruptcy costs have material impact on the term structure of credit spreads and the duration of defaultable bonds.
  • Keywords
    Fuzzy stochastic process , Noisy information , Default risk
  • Journal title
    FUZZY SETS AND SYSTEMS
  • Serial Year
    2009
  • Journal title
    FUZZY SETS AND SYSTEMS
  • Record number

    1600958

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1600958